> Date: Thu, 3 Feb 2005 13:53:23 -0800 (PST)
> From: linthoi angom <[email protected]>
> Subject: st: generalized tobit model
>
> hello,
> I am trying to estimate a generalized tobit model
> with two equations. The first equation is a probit
> equation which determines whether a firm undertakes
> R&D or not.
You may be seeking what econometricians refer to as a "double hurdle"
model. In which case, ...
Have a look at Julian Fennema's -dhurdle- program, downloadable from
http://www.sml.hw.ac.uk/somjaf/stata.htm
There is also a Stata Journal article by Allen McDowell (which could
have been found using -findit hurdle-):
SJ-3-2 st0040 . . . . . . . . . . . . . . From the help desk: hurdle
models
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . A.
McDowell
Q2/03 SJ 3(2):178--184 (no
commands)
demonstrates how the parameters of a hurdle model can be
estimated in Stata using a combination of existing commands
As far as I can recall, Julian's program is more general than the
methods suggested by Allen -- the key difference being that the former
allows for a non-zero cross-equation correlation. (Correct me if I am
wrong.)
Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <[email protected]>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374. Fax: +44 1206 873151.
http://www.iser.essex.ac.uk
*
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